内幕交易的行为识别及防范机制研究

发布时间：2018-01-15 21:33

本文关键词：内幕交易的行为识别及防范机制研究　出处：《西南交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：内幕交易是机构或个人利用信息优势进行交易从而获取非法利益的不道德行为。它属于市场违规操作甚至是违法行为,从而受到各国的严格监管,我国也不例外。但是由于我国甄别技术的相对落后及对内幕交易的认识不完全,再加上内幕交易本身的隐蔽性等特点,使得我国现有的内幕交易监管工作并不是很有效率。所以如何有效地加强监管机制从而对内幕交易行为予以防范也成为了今后我国证券市场发展中的重头戏。而如何准确、有效地对内幕交易行为进行识别则是建立监管机制的第一要素。本文在对国内外文献进行综述的基础上,首先对内幕交易行为进行理论分析,对内幕交易者的动机及其表现等环节进行分析和分类,从而试图选取出适合实证研究部分的指标。本文将我国证券市场内幕交易特征指标分为证券市场表现指标及公司内部治理结构指标并逐一进行描述,最后选取了日均收益率,日均换手率,Amivest流动性比率这三个证券市场表现指标和前十大股东持股比例这一公司治理结构指标,并对以上这四个指标的计算方法进行初步调整。在接下来的实证分析阶段,本文以我国证券市场的股票为数据来源,收集了发生内幕交易的股票(即黑色样本)和没有发生内幕交易的股票(即白色样本)共四十只。采用Logistic模型对内幕操纵行为进行了识别。再将数据代入SPSS软件并给出分析过程,本文还将对模型的结果作出详实的分析。最后,本文根据实证结果和我国证券市场的实际状况,给出关于防范我国证券市场内幕交易的机制建立和发展的建议。
[Abstract]:Insider trading is an immoral behavior that institutions or individuals make use of information advantages to trade and obtain illegal benefits. It belongs to the illegal operation of the market and even illegal behavior, so it is strictly regulated by various countries. China is no exception. However, due to the relatively backward screening technology and incomplete understanding of insider trading in our country, coupled with the hidden characteristics of insider trading itself. Therefore, how to effectively strengthen the supervision mechanism to prevent insider trading has become a major issue in the development of China's securities market in the future. How to be accurate. Effective identification of insider trading is the first element to establish a regulatory mechanism. Based on the review of domestic and foreign literature, this paper firstly makes a theoretical analysis of insider trading behavior, and analyzes and classifies the motivation and performance of insider traders. In this paper, the characteristics of insider trading in China's securities market are divided into performance indicators and corporate governance structure indicators and described one by one. At last, the paper selects the average daily yield, the daily turnover rate and the liquidity ratio of Amivest, which are the three performance indicators of the securities market and the top ten stockholders' shareholding ratio, which is the corporate governance structure index. And the calculation method of the above four indexes is preliminarily adjusted. In the next stage of empirical analysis, this paper takes the stock market of our country as the data source. Stocks with insider trading (i.e. black samples) and stocks without insider trading (i.e. white samples) were collected. A total of 40 individuals were used to identify the insider manipulation behavior by using Logistic model. Then the data was substituted into the SPSS software and the analysis process was given. The results of the model are also analyzed in detail. Finally, according to the empirical results and the actual situation of China's securities market, this paper gives some suggestions on the establishment and development of the mechanism to prevent insider trading in China's securities market.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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